In this paper I test for and model volatility jumps for the General Index (GD) of the Athens Stock Exchange (ASE …-of-the-art realized volatility estimators which I then use in testing and modeling for volatility jumps in the General Index of the ASE … volatility which are then used in modeling realized volatility with the class of Heterogeneous Autoregressive (HAR) models. This …

It is difficult to predict stock market returns but relatively easy to predict market volatility. But volatility … produces a formula in which returns become a function of volatility and therefore become somewhat more predictable. We show … strategy also smooths out volatility variation over time, reduces the kurtosis of daily returns, reduces maximum drawdown, and …

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed … positions. We observe that, in general both positions are positively correlated with contemporaneous volatility, and the … that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing …

-wide volatility. A vocal set of market participants insist that LETF-related trading causes excess volatility and manipulates prices … stocks, increases their volatility, and that some of this impact is reversed in the first hour of the next day. The impact is …

volatility surfaces. The parameters of this model are directly linked to measurable and observable market risks …

We introduce a class of nonparametric spot volatility estimators based on delta sequences and conceived to include many …

specific reasons for the existence of this phenomenon. This paper aims to study the holiday effect in returns and volatility of … with higher volatility during pre-holiday periods. Furthermore, it examines whether the holiday effect depends on the … employed to capture the volatility clustering nature of the stock market. Out of the three GARCH models considered, EGARCH (1 …

We formulate a bivariate stochastic volatility jump-diffusion model with correlated jumps and volatilities. An MCMC … stock (PX index) returns. Four bivariate models with and without jumps and/or stochastic volatility are compared using the … deviance information criterion (DIC) confirming importance of incorporation of jumps and stochastic volatility into the model …